期刊论文On the financial interpretation of risk contribution: Risk budgets do add up复制

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EE Qian
Available at SSRN 684221, 2005
papers.ssrn.com
There are lingering questions in the financial industry regarding the concepts of risk contribution and risk budgeting. The questions stem from both the simple belief that risks are non-additive and a lack of financial intuition behind mathematical definitions of these concepts. This paper demonstrates that these questions are misguided, by both providing and analyzing risk contribution's financial interpretation.